As of May 2018, Azure Data Factory supports moving data from the following sources to the Azure Data Lake Store:

• Azure Blob
• Azure SQL Database
• Azure Table
• On-premises SQL Server Database
• Azure DocumentDB
• Azure SQL DW
• On-premises File System
• On-premises Oracle Database
• On-premises MySQL Database
• On-premises Db2 Database
• On-premises Teradata Database
• On-premises Sybase Database
• On-premises PostgreSQL Database
• On-premises HDFS
• Generic OData (coming soon!)
• Generic ODBC (coming soon!)

For an updated list of data stores that are supported as sources or sinks by the copy activity, see the supported data stores table: https://docs.microsoft.com/en-us/azure/data-factory/copy-activity-overview#supported-data-stores-and-formats.